2022•Procedia Computer ScienceOpen access

The asset allocation utility of digital cryptocurrency

Wen Long, Maohua Wang, Man Guo

Abstract

In recent years, the digital cryptocurrency market has witnessed rapid development, but its asset allocation function has yet to be verified. In this paper, DCC-GARCH model is used to estimate the dynamic correlation between digital cryptocurrency and current mainstream assets, and the corresponding hedging effect of digital cryptocurrency is studied. Then, three mainstream asset allocation strategies are selected to analyze the risk and return of asset allocation portfolio after adding digital cryptocurrency, which verifies the asset allocation utility of digital cryptocurrency. This study can provide investment basis for investors and has certain theoretical and practical significance.

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Key concepts: Cryptocurrency, Computer science, Asset allocation, Asset (computer security), Portfolio, Mainstream, Digital asset management, Finance